Abstract
We explore the prevalence of asset-price bubbles in Australian listed industrial equi-
ties and A-REIT markets. In contrast to the US listed stock markets, we find little
evidence of asset-price bubbles in historical returns of Australian markets (1992-
2016). Our findings are robust to the choice of econometric method and historical
data range.
We also provide a review of the literature surrounding asset-pricing bubbles, as
well as a review of the econometric identification of asset-price bubbles. In our
analysis we note that significant future research is required in the econometric iden-
tification of asset-price bubbles. While the existence of asset price bubbles cannot be
ruled out, significant advancements in the literature are required before academics
and practitioners can gain any further insight.
ties and A-REIT markets. In contrast to the US listed stock markets, we find little
evidence of asset-price bubbles in historical returns of Australian markets (1992-
2016). Our findings are robust to the choice of econometric method and historical
data range.
We also provide a review of the literature surrounding asset-pricing bubbles, as
well as a review of the econometric identification of asset-price bubbles. In our
analysis we note that significant future research is required in the econometric iden-
tification of asset-price bubbles. While the existence of asset price bubbles cannot be
ruled out, significant advancements in the literature are required before academics
and practitioners can gain any further insight.
| Original language | English |
|---|---|
| Type | Refereed Industry Research Report |
| Media of output | Report |
| Publisher | Centre for International Finance and Regulation |
| Number of pages | 154 |
| Publication status | Published - 3 Jun 2016 |